87 lines
2.1 KiB
Python
87 lines
2.1 KiB
Python
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"""Backtest schemas."""
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from pydantic import BaseModel, Field
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from typing import List, Dict, Any, Optional
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from datetime import datetime, date
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from uuid import UUID
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class BacktestConfig(BaseModel):
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"""백테스트 설정."""
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name: str = Field(..., description="백테스트 이름")
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strategy_name: str = Field(..., description="전략 이름")
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start_date: date = Field(..., description="시작일")
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end_date: date = Field(..., description="종료일")
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initial_capital: float = Field(default=10000000.0, description="초기 자본금")
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commission_rate: float = Field(default=0.0015, description="수수료율")
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rebalance_frequency: str = Field(default='monthly', description="리밸런싱 주기")
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strategy_config: Optional[Dict[str, Any]] = Field(default=None, description="전략 설정")
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class TradeResponse(BaseModel):
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"""거래 응답."""
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ticker: str
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action: str
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quantity: float
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price: float
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date: datetime
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class EquityCurvePoint(BaseModel):
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"""자산 곡선 포인트."""
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date: datetime
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value: float
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cash: float
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positions_value: float
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class BacktestResults(BaseModel):
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"""백테스트 결과."""
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initial_capital: float
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final_value: float
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total_return_pct: float
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cagr: float
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max_drawdown_pct: float
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sharpe_ratio: float
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sortino_ratio: float
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volatility: float
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win_rate_pct: float
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calmar_ratio: float
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total_trades: int
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equity_curve: List[Dict[str, Any]]
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trades: List[Dict[str, Any]]
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class BacktestRunResponse(BaseModel):
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"""백테스트 실행 응답."""
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id: UUID
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name: str
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strategy_name: str
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start_date: date
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end_date: date
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initial_capital: float
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status: str
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config: Optional[Dict[str, Any]]
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results: Optional[BacktestResults]
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created_at: datetime
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class Config:
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from_attributes = True
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class BacktestRunCreate(BaseModel):
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"""백테스트 실행 생성 요청."""
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config: BacktestConfig
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class BacktestListResponse(BaseModel):
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"""백테스트 목록 응답."""
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items: List[BacktestRunResponse]
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total: int
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